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The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation

  • Kaiyong Wang
  • Lamei Chen
  • Yang Yang
  • Miaomiao Gao
Original Paper Area 4
  • 23 Downloads

Abstract

This paper investigates a renewal risk model with stochastic return and Brownian perturbation, where the price process of the investment portfolio is described as a geometric Lévy process. When the claim sizes have a subexponential distribution, we derive the asymptotics for the finite-time ruin probability of the above risk model. The obtained result confirms that the asymptotics for the finite-time ruin probability of the risk model with heavy-tailed claim sizes are insensitive to the Brownian perturbation.

Keywords

Asymptotics Finite-time ruin probability Brownian perturbation Lévy process The class of subexponential distributions 

Mathematics Subject Classification

62P05 62E10 91B30 

Notes

Acknowledgements

The authors wish to thank the referees and the Editor for their very valuable comments on an earlier version of this paper.

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Copyright information

© The JJIAM Publishing Committee and Springer Japan KK, part of Springer Nature 2018

Authors and Affiliations

  • Kaiyong Wang
    • 1
  • Lamei Chen
    • 1
  • Yang Yang
    • 2
  • Miaomiao Gao
    • 1
  1. 1.School of Mathematics and PhysicsSuzhou University of Science and TechnologySuzhouChina
  2. 2.Department of StatisticsNanjing Audit UniversityNanjingChina

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